Publications

In this paper, we introduce and discuss the passage to hydrodynamic equations for kinetic models of conservative economies, in which the density of wealth depends on additional parameters, like the propensity to invest. As in kinetic theory of rarefied gases, the closure depends on the knowledge of the homogeneous steady wealth distribution (the Maxwellian) of the underlying kinetic model. The collision operator used here is the Fokker-Planck operator introduced by J.P. Bouchaud and M. Mezard in [4], which has been recently obtained in a suitable asymptotic of a Boltzmann-like model involving both exchanges between agents and speculative trading by S. Cordier, L. Pareschi and one of the authors [11]. Numerical simulations on the fluid equations are then proposed and analyzed for various laws of variation of the propensity.

The paper investigates if the provision of financial incentives has an impact on the performance of students in educational tests. The analysis is based on data from an experiment with high school students which answered multiple choice items from the TIMS-Study. Like in that study, the setup did not discourage students from guessing. Students with a salary based on individual performance scored insignificantly better than students with a fixed payout or a payout which is based on the performance of the entire group. However, incentives have an impact. The group with individualized payments showed significantly more guessing activities than the others.

We analyze the relationship between duration of the pension benefit spell and pension benefit claims from the German public pension system, with a special emphasis on differential results with respect to health. This relationship is crucial and causal for a potential structural pattern of redistribution between different income and health groups, induced by the public pension system. Evidence for such redistribution from poor to rich is present for most of the specifications in our analysis. The specification we believe to be correct is partially-linear, does therefore not impose any parametrical restrictions between duration and benefit claims, and allows for potential endogeneity. The relationship we extract is remarkably close to positively linear. Additionally we find that the income gradient is steeper for pensioners in bad health, meaning that redistribution from the least able to the most able individuals is more pronounced the worse the health status is.

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The paper documents the results from an experiment on peer effects in learning processes. The experimental approach eliminates endogeneity and selection problems which typically restrict the measurement of peer effects with administrative or survey data. The results provide evidence on the mechanisms of peer interaction and on optimal learning group composition. Learning with a partner is more successful than learning without one, though differences between gender and age groups are observable. High ability students provide benefits to other high ability students. Subjects who are member in a club provide a benefit to partners who are not.

The paper documents the results from an experiment on peer effects in learning processes. The experimental approach eliminates endogeneity and selection problems which typically restrict the measurement of peer effects with administrative or survey data. The results provide evidence on the mechanisms of peer interaction and on optimal learning group composition. Learning with a partner is more successful than learning without one, though differences between gender and age groups are observable. High ability students provide benefits to other high ability students. Subjects who are member in a club provide a benefit to partners who are not.

Die Statistikplattform Bodensee hat mit der Publikation "Im Fokus - Die REGIO Bodensee" eine grenzübergreifende Analyse der Themen Bevölkerung, Arbeitsmarkt, Verkehr, Bildung und private Ausgaben in den Bodenseeanrainerstaaten Deutschland, Schweiz, Österreich und Liechtenstein verfasst.

We examine the optimal tax and education policy in case of a dual income tax and a publicly provided education system with endogenous tuition fees. In a Nielsen and Sørensen (1997) type OLG framework, we show that tuition fees and progressive labor taxation are (largely) equivalent instruments, even when labor supply is endogenous. Hence, there exists a large variety of Second-best optimal tax and education systems including the Nordic one. Moreover, education subsidies and progressive taxation turn out to be Siamese Twins on pure efficiency grounds.

The strong growth in collateralized debt obligation transactions raises the question how these transactions are designed. The originator designs the transaction so as to maximize her benefit subject to requirements imposed by investors and rating agencies. An important issue in these transactions is the information asymmetry between the originator and the investors. First Loss Positions are the most important instrument to mitigate conflicts due to information asymmetry. We analyse the optimal size of the First Loss Position in a model and the actual size in a set of European collateralized debt obligation transactions. We find that the asset pool quality, measured by the weighted average default probability and the diversity score of the pool, plays a predominant role for the transaction design. Characteristics of the originator
play a small role. A lower asset pool quality induces the originator to take a higher First Loss Position and, in a synthetic transaction, a smaller Third Loss Position. The First Loss Position bears on average 86 % of the expected default losses, independent of the asset pool quality. This loss share and the asset pool quality strongly affect the rating and the credit spread of the lowest rated tranche.

In a two-period model with agent heterogeneity we analyze a pension reform toward a stronger link between contributions and benefits (as recently observed in several countries) in a pension system with a Bismarckian and a Beveridgian component. We show that such a policy change reduces the educational level in an economy. The life expectancy differential between skilled and unskilled individuals drives this result. Furthermore, we investigate the consequences on the intragenerational redistribution characteristics of the pension system in the sense of the number of net-recipients relative to net-payers as well as welfare effects.

We analyse the impact of different immigration policies on human capital investment in a search-theoretic model. This class of model features unemployment and underinvestment in human capital. We show that an immigration policy aiming at well educated immigrants leads to rising educational attainment of natives and can be Pareto-improving. In combination with education subsidies, underinvestment in human capital can be removed such that a Pareto-optimal investment level of natives is reached. Including labour markets of different skill groups the model exhibits the possibility to discuss a bimodal skilled immigration.

The Black-Scholes model is based on a one-parameter pricing kernel with constant elasticity. Theoretical and empirical results suggest declining elasticity and, hence, a pricing kernel with at least two parameters. We price European-style options on assets whose probability distributions have two unknown parameters. We assume a pricing kernel which also has two unknown parameters. When certain conditions are met, a two-dimensional risk-neutral valuation relationship exists for the pricing of these options: i.e. the relationship between the price of the option and the prices of the underlying asset and one other option on the asset is the same as it would be under risk neutrality. In this class of models, the price of the underlying asset and that of one other option take the place of the unknown parameters.